Strategy Zoo / S1012
LongTermTrend_V1012
ARCHIVEDhybridllmBroadened entry to be less brittle (lowered ret_20d and cumret_252d thresholds), added a dedicated breakout/momentum branch (breakout_20 + rel_volume) to restore activity; improved exits to include bearish momentum, price below sma_50, or sharp 5-day drawdown; introduced regime gates to avoid high-volatility/extreme-bubble regimes; added volatility-based position sizing (reduce size in high vol, scale up on strong breakout) and lowered base_position to 0.7 to reduce drawdown risk.
Fitness
0.2361
Generation
46
Complexity
21
Created
2026-10-01
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1012 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((((close > sma_200 and sma_200_slope > -0.0024) or cumret_252d > 0.03) and ret_20d > 0.03) or (breakout_20 == 1 and rel_volume > 1.2 and (close > sma_50 or macd_hist > 0.0))):
position = 0.7
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.0% | 19.2% | -2.0% | 2.7% |
| Total Return | -7.5% | 69.6% | -7.1% | 48.7% |
| Sharpe | 0.01 | 1.01 | -0.04 | 0.25 |
| Sortino | 0.01 | 0.93 | -0.03 | 0.19 |
| Calmar | -0.02 | 0.86 | -0.07 | 0.06 |
| Volatility | 15.0% | 19.2% | 16.1% | 16.2% |
| Max DD | -45.4% | -22.4% | -28.8% | -45.4% |
| Win Rate | 38.5% | 50.0% | 41.7% | 41.9% |
| Avg Win | 3.1% | 4.2% | 3.1% | 3.5% |
| Avg Loss | -2.0% | -2.0% | -2.3% | -2.1% |
| Payoff | 1.51 | 2.06 | 1.37 | 1.69 |
| Expectancy | -0.1% | 1.1% | -0.0% | 0.3% |
| Profit Factor | 0.94 | 2.06 | 0.98 | 1.22 |
| Trades | 130 | 58 | 60 | 248 |
| Avg Holding Days | 4.2 | 4.4 | 4.3 | 4.4 |
| Turnover | 22.9 | 27.1 | 22.5 | 23.6 |
| Exposure | 15.0% | 18.5% | 15.0% | 15.7% |
Growth of $100
LongTermTrend_V1012 vs TSLA Buy & Hold
LongTermTrend_V1012 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | -5.6% | -0.58 | -10.2% | 12 |
| 2017 | 4.4% | 0.38 | -11.4% | 25 |
| 2018 | -8.2% | -0.73 | -9.4% | 10 |
| 2019 | -5.5% | -0.20 | -21.5% | 8 |
| 2020 | 63.8% | 2.74 | -5.6% | 11 |
| 2021 | 6.4% | 0.38 | -20.5% | 34 |
| 2022 | -2.8% | -0.11 | -19.7% | 12 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 275 | -2.7% | -1.51 | 1% |
| hidden test | EXPENSIVE | 83 | 29.1% | 1.24 | 27% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -2.3% | -0.21 | 1% |
| hidden test | LOW VOLATILITY | 434 | 19.0% | 1.22 | 21% |
| hidden test | MEDIUM VOLATILITY | 251 | -33.2% | -1.62 | 18% |
| hidden test | NORMAL | 808 | -3.8% | -0.24 | 15% |
| hidden test | SIDEWAYS | 293 | -13.3% | -0.89 | 23% |
| hidden test | UPTREND | 371 | 10.8% | 0.49 | 19% |
| train | DOWNTREND | 518 | -5.3% | -1.12 | 1% |
| train | EXPENSIVE | 311 | 23.9% | 1.27 | 24% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 5.3% | 0.36 | 1% |
| train | LOW VOLATILITY | 745 | 6.9% | 0.48 | 27% |
| train | MEDIUM VOLATILITY | 568 | -15.1% | -0.94 | 16% |
| train | NORMAL | 1,601 | -5.0% | -0.34 | 14% |
| train | SIDEWAYS | 592 | -12.2% | -0.81 | 16% |
| train | UPTREND | 902 | 11.3% | 0.62 | 22% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 78.8% | 3.03 | 29% |
| validation | EXTREME | 144 | 33.0% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -5.7% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 5.0% | 0.31 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 48.4% | 1.87 | 24% |
| validation | NORMAL | 474 | -2.0% | -0.11 | 20% |
| validation | SIDEWAYS | 206 | -19.8% | -1.17 | 19% |
| validation | UPTREND | 425 | 44.1% | 1.95 | 24% |
Trades (full period)
latest 100 of 248
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -4.73% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.15% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -2.99% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.23% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.14% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.36% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.86% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 1.93% | 12 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 2.42% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.59% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -1.99% | 3 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.52% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -0.71% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.15% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 3.65% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.64% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.25% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 15.37% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-08-22 | 2025-09-03 | $340.01 | $334.09 | 1.94% | 8 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.34% | 9 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.26% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.50% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 0.78% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.62% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.52% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -6.28% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.13% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.63% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.82% | 3 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.29% | 2 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 19.45% | 17 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.95% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.24% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.54% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.07% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.07% | 9 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.46% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.97% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.12% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.43% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.12% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -6.95% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.57% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.74% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.43% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.37% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.95% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.02% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.55% | 2 | |
| 2023-06-01 | 2023-06-27 | $207.52 | $250.21 | 12.48% | 18 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -7.60% | 4 | |
| 2022-09-29 | 2022-09-30 | $268.21 | $265.25 | -4.90% | 2 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -2.68% | 10 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.03% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.73% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.53% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.57% | 9 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.52% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.70% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.65% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 9.20% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -4.40% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.28% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 20.11% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.90% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 1.79% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.05% | 2 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.63% | 14 | |
| 2021-08-27 | 2021-08-30 | $237.31 | $243.64 | 0.93% | 2 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.13% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.54% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.72% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.20% | 12 | |
| 2021-07-22 | 2021-07-23 | $216.42 | $214.46 | -0.78% | 2 | |
| 2021-07-20 | 2021-07-21 | $220.17 | $218.43 | 1.41% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.83% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.45% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.06% | 12 | |
| 2021-06-21 | 2021-06-22 | $206.94 | $207.90 | -0.42% | 2 | |
| 2021-06-17 | 2021-06-18 | $205.53 | $207.77 | 1.22% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -2.22% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.17% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.56% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -6.38% | 12 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -3.82% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.04% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.59% | 2 |